Importing multiple CSV to multiple worksheet in a single workbook

You can use Dir to filter out and run with just the csv files

Sub MacroLoop()
Dim strFile As String
Dim ws As Worksheet
strFile = Dir("c:\test\*.csv")
Do While strFile <> vbNullString
Set ws = Sheets.Add
With ws.QueryTables.Add(Connection:= _
    "TEXT;" & "C:\test\" & strFile, Destination:=Range("$A$1"))
    .Name = strFile
    .FieldNames = True
    .RowNumbers = False
    .FillAdjacentFormulas = False
    .PreserveFormatting = True
    .RefreshOnFileOpen = False
    .RefreshStyle = xlInsertDeleteCells
    .SavePassword = False
    .SaveData = True
    .AdjustColumnWidth = True
    .RefreshPeriod = 0
    .TextFilePromptOnRefresh = False
    .TextFilePlatform = 437
    .TextFileStartRow = 1
    .TextFileParseType = xlDelimited
    .TextFileTextQualifier = xlTextQualifierDoubleQuote
    .TextFileConsecutiveDelimiter = False
    .TextFileTabDelimiter = False
    .TextFileSemicolonDelimiter = False
    .TextFileCommaDelimiter = True
    .TextFileSpaceDelimiter = False
    .TextFileColumnDataTypes = Array(1, 1, 1, 1, 1)
    .TextFileTrailingMinusNumbers = True
    .Refresh BackgroundQuery:=False
End With
strFile = Dir
Loop
End Sub

This guy absolutely nailed it. Very concise code and works perfectly for me on 2010. All credit goes to him (Jerry Beaucaire). I found it from a forum here.

Option Explicit
Sub ImportCSVs()
'Author:    Jerry Beaucaire
'Date:      8/16/2010
'Summary:   Import all CSV files from a folder into separate sheets
'           named for the CSV filenames

'Update:    2/8/2013   Macro replaces existing sheets if they already exist in master workbook

Dim fPath   As String
Dim fCSV    As String
Dim wbCSV   As Workbook
Dim wbMST   As Workbook

Set wbMST = ThisWorkbook
fPath = "C:\test\"                  'path to CSV files, include the final \
Application.ScreenUpdating = False  'speed up macro
Application.DisplayAlerts = False   'no error messages, take default answers
fCSV = Dir(fPath & "*.csv")         'start the CSV file listing

    On Error Resume Next
    Do While Len(fCSV) > 0
        Set wbCSV = Workbooks.Open(fPath & fCSV)                    'open a CSV file
        wbMST.Sheets(ActiveSheet.Name).Delete                       'delete sheet if it exists
        ActiveSheet.Move After:=wbMST.Sheets(wbMST.Sheets.Count)    'move new sheet into Mstr
        Columns.Autofit             'clean up display 
        fCSV = Dir                  'ready next CSV
    Loop

Application.ScreenUpdating = True
Set wbCSV = Nothing
End Sub

Beware, this does not handles errors like you would have a duplicate sheet name if you imported a csv.

This uses early binding so you need to Reference Microsoft.Scripting.Runtime under Tools..References in the VBE

Dim fs  As New FileSystemObject
Dim fo As Folder
Dim fi As File
Dim wb As Workbook
Dim ws As Worksheet
Dim sname As String

Sub loadall()
    Set wb = ThisWorkbook

    Set fo = fs.GetFolder("C:\TEMP\")

    For Each fi In fo.Files
        If UCase(Right(fi.name, 4)) = ".CSV" Then
            sname = Replace(Replace(fi.name, ":", "_"), "\", "-")

            Set ws = wb.Sheets.Add
            ws.name = sname
            Call yourRecordedLoaderModified(fi.Path, ws)
        End If
    Next
End Sub

Sub yourRecordedLoaderModified(what As String, where As Worksheet)
With ws.QueryTables.Add(Connection:= _
    "TEXT;" & what, Destination:=Range("$A$1"))
    .name = "test1"
    .FieldNames = True
    .RowNumbers = False
    .FillAdjacentFormulas = False
    .PreserveFormatting = True
    .RefreshOnFileOpen = False
    .RefreshStyle = xlInsertDeleteCells
    .SavePassword = False
    .SaveData = True
    .AdjustColumnWidth = True
    .RefreshPeriod = 0
    .TextFilePromptOnRefresh = False
    .TextFilePlatform = 437
    .TextFileStartRow = 1
    .TextFileParseType = xlDelimited
    .TextFileTextQualifier = xlTextQualifierDoubleQuote
    .TextFileConsecutiveDelimiter = False
    .TextFileTabDelimiter = False
    .TextFileSemicolonDelimiter = False
    .TextFileCommaDelimiter = True
    .TextFileSpaceDelimiter = False
    .TextFileColumnDataTypes = Array(1, 1, 1, 1, 1)
    .TextFileTrailingMinusNumbers = True
    .Refresh BackgroundQuery:=False
End With
Sheets.Add After:=Sheets(Sheets.Count)
End Sub